RE: positiontrader: 2X results.
Yes, you have read that correctly.
So, I went back and changed the margin requirement from 100 (no leverage) to 50 (2X leverage).
Keep in mind: Larry Connors is a short term trader that appears to use futures contracts to trade. It would appear this system would do fairly well in the futures market. But having never traded futures, I could be very wrong! :O)
Metal
Here are the system results:
Settings
Initial Equity: 10000 Periodicity/Positions: Daily/Long
Commissions: 0.00 (Use portfolio settings) Annual interest rate: 0.00%
Range: 1/1/1995 00:00:00 - 12/31/2005 Apply to: Current Symbol
Margin requirement: 50 Futures mode: No
Def. round lot size: 0 Def. Tick Size 0
Drawdowns based on: High/Low prices
Long trades
Buy price: Close Sell price: Close
Buy delay: 0 Sell delay: 0
Short trades
Short price: Close Cover price: Close
Short delay: 0 Cover delay: 0
Stops
Maximum loss: disabled Profit target: disabled
Value: 1.30 Value: 0.00
Exit at stop? yes Exit at stop? no
Trailing stop: disabled
Value: 0.00
Exit at stop? no
Formula
//PositionSize=10000;
data=Foreign("^VIX","C");
r1=IIf(Close>MA(Close,200),1,0);
r2=IIf(Low==LLV(Low,10),1,0);
r3=IIf(data>=1.05*MA(data,10),1,0);
Buy=IIf(r1==1 AND r2==1 AND r3==1,1,0);
Sell=IIf(Close>MA(Close,10),1,0);
Buy = ExRem( Buy, Sell );
Sell = ExRem( Sell, Buy );
Performance for SPY
Total net profit: 36021.00 Total commissions paid: 0.00
Return on account: 360.21 % Open position gain/loss 0.00
Buy&Hold profit: 35417.21 Bars (days) in test: 2752 (3987)
Buy&Hold % return: 354.17% System to Buy&Hold index: 1.70%
Annual system % return: 15.00% Annual B&H % return: 14.86%
System drawdown: -90.83 B&H drawdown: -39.32
Max. system drawdown: -6538.09 B&H max. drawdown: -34373.09
Max. system % drawdown: -20.37% B&H max. % drawdown: -101.03%
Max. trade drawdown: -6160.45
Max. trade % drawdown: -20.37%
Trade drawdown: -5044.13
Total number of trades: 65 Percent profitable: 84.6%
Number winning trades: 55 Number losing trades: 10
Profit of winners: 46406.08 Loss of losers: -10385.08
Total # of bars in winners: 301 Total # of bars in losers: 130
Commissions paid in winners: 0.00 Commissions paid in losers: 0.00
Largest winning trade: 2783.43 Largest losing trade: -2498.41
# of bars in largest winner: 4 # bars in largest loser: 18
Commission paid in largest winner: 0.00 Commission paid in largest loser: 0.00
Average winning trade: 843.75 Average losing trade: -1038.51
Avg. # of bars in winners: 5.5 Avg. # bars in losers: 13.0
Avg. commission paid in winner: 0.00 Avg. commission paid in loser: 0.00
Max consec. winners: 13 Max consec. losers: 2
Bars out of the market: 2321 Interest earned: 0.00
Exposure: 15.7% Risk adjusted ann. return: 95.77%
Ratio avg win/avg loss: 0.81 Avg. trade (win & loss): 554.17
Profit factor: 4.47
Trade list for SPY
Trade Entry date Entry price Exit date Exit price Net Profit Equity value
Long 3/7/1995 48.4400 3/10/1995 49.2700 342.6928 10342.6928
Long 5/18/1995 52.0600 5/22/1995 52.6700 242.3745 10585.0673
Long 7/19/1995 55.2700 7/24/1995 55.8100 206.8372 10791.9045
Long 10/10/1995 57.8900 10/12/1995 58.4400 205.0627 10996.9672
Long 10/26/1995 57.7500 11/1/1995 58.7800 392.2723 11389.2395
Long 12/18/1995 60.6300 12/27/1995 61.4700 315.5851 11704.8246
Long 1/9/1996 60.7700 1/18/1996 60.8600 34.6696 11739.4942
Long 2/20/1996 64.3000 2/22/1996 66.1200 664.5684 12404.0626
Long 2/29/1996 63.8800 3/4/1996 65.2700 539.8119 12943.8745
Long 3/8/1996 63.5000 3/18/1996 65.3600 758.2871 13702.1616
Long 3/29/1996 64.6900 4/1/1996 65.4400 317.7190 14019.8806
Long 4/8/1996 64.3900 4/16/1996 64.4400 21.7747 14041.6553
Long 5/2/1996 64.4100 5/10/1996 65.3700 418.5678 14460.2231
Long 7/5/1996 65.5800 7/26/1996 63.7200 -820.2508 13639.9723
Long 8/29/1996 66.0200 9/9/1996 66.7200 289.2470 13929.2193
Long 10/28/1996 69.8400 10/31/1996 70.8400 398.8895 14328.1088
Long 12/4/1996 74.9500 12/9/1996 75.4100 175.8780 14503.9867
Long 12/13/1996 73.3100 12/19/1996 75.0500 688.5014 15192.4881
Long 1/2/1997 74.0300 1/3/1997 75.0900 435.0669 15627.5550
Long 1/27/1997 76.5300 1/29/1997 77.5000 396.1518 16023.7067
Long 3/17/1997 79.9100 3/24/1997 79.5300 -152.3986 15871.3081
Long 3/31/1997 75.3700 4/8/1997 76.6900 555.9273 16427.2354
Long 8/8/1997 93.3700 8/20/1997 94.2500 309.6481 16736.8835
Long 10/27/1997 87.1900 11/3/1997 94.0000 2614.4772 19351.3607
Long 11/13/1997 91.8100 11/14/1997 93.0600 526.9405 19878.3012
Long 12/11/1997 95.5600 12/29/1997 95.6200 24.9644 19903.2656
Long 1/9/1998 92.3100 1/16/1998 96.3100 1724.9066 21628.1722
Long 4/27/1998 108.7200 4/30/1998 111.3400 1042.4155 22670.5877
Long 5/26/1998 109.4700 6/4/1998 109.8700 165.6759 22836.2636
Long 6/15/1998 107.5300 6/17/1998 111.4700 1673.4853 24509.7489
Long 7/23/1998 114.1900 8/17/1998 108.3700 -2498.4102 22011.3387
Long 8/21/1998 108.5600 8/24/1998 109.2500 279.8061 22291.1449
Long 12/14/1998 113.7500 12/17/1998 118.3900 1818.5652 24109.7101
Long 1/13/1999 123.3700 1/19/1999 125.1900 711.3506 24821.0607
Long 2/9/1999 121.5300 2/11/1999 125.1200 1466.4315 26287.4922
Long 3/23/1999 126.1900 3/29/1999 131.1600 2070.6691 28358.1613
Long 4/19/1999 129.5000 4/21/1999 134.8800 2356.2478 30714.4091
Long 5/24/1999 131.1300 6/4/1999 133.2200 979.0742 31693.4833
Long 7/20/1999 137.9800 8/13/1999 133.1600 -2214.2679 29479.2154
Long 8/31/1999 132.0600 9/3/1999 135.9700 1745.6284 31224.8438
Long 9/16/1999 132.4500 10/4/1999 130.7500 -801.5423 30423.3015
Long 11/30/1999 139.2800 12/3/1999 143.8400 1992.1048 32415.4063
Long 1/4/2000 139.7500 1/7/2000 145.7500 2783.4338 35198.8401
Long 1/24/2000 140.3400 2/2/2000 141.0600 361.1687 35560.0088
Long 4/4/2000 150.1300 4/7/2000 151.4400 620.5758 36180.5847
Long 5/3/2000 140.7500 5/12/2000 142.8100 1059.0681 37239.6527
Long 9/22/2000 145.2800 9/28/2000 145.0000 -143.5443 37096.1084
Long 5/20/2003 92.4600 5/27/2003 95.4000 2359.1315 39455.2400
Long 8/4/2003 98.5100 8/11/2003 98.6500 112.1452 39567.3851
Long 9/24/2003 101.1100 10/1/2003 102.0800 759.1813 40326.5664
Long 11/17/2003 104.9300 11/24/2003 105.5900 507.2977 40833.8641
Long 1/29/2004 113.4800 2/6/2004 114.4500 698.0716 41531.9358
Long 3/9/2004 114.5000 3/29/2004 112.5900 -1385.6096 40146.3262
Long 4/20/2004 111.9200 4/22/2004 114.2500 1671.5692 41817.8954
Long 4/29/2004 111.8300 5/21/2004 109.8100 -1510.7275 40307.1680
Long 7/6/2004 111.8900 7/20/2004 111.6400 -180.1196 40127.0484
Long 1/4/2005 118.8300 1/18/2005 119.4700 432.2357 40559.2841
Long 1/20/2005 117.5000 1/31/2005 118.1600 455.6473 41014.9313
Long 2/22/2005 118.6000 2/25/2005 121.4300 1957.3749 42972.3062
Long 3/16/2005 119.1200 3/30/2005 118.1800 -678.2081 42294.0982
Long 4/14/2005 115.7700 4/25/2005 116.3300 409.1719 42703.2701
Long 6/24/2005 118.9800 7/5/2005 120.4900 1083.9082 43787.1783
Long 8/5/2005 122.8800 8/11/2005 123.8200 669.9228 44457.1011
Long 8/16/2005 122.2100 8/31/2005 122.5800 269.1965 44726.2976
Long 9/21/2005 120.9100 9/29/2005 122.6600 1294.6988 46020.9964
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